Fast and Accurate Numerical Integration of the Langevin Equation with Multiplicative Gaussian White Noise
A univariate stochastic system driven by multiplicative Gaussian white noise is considered. The standard method for simulating its Langevin equation of motion involves incrementing the system’s state variable by a biased Gaussian random number at each time step. It is shown that the efficiency of su...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-10-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/26/10/879 |
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